You can make a backup copy of your Kindle ebooks, either by copying the files via USB from the Kindle to your PC or by redownloading them to your computer (as poohbear_nc suggests).

However, these copies are locked to your Kindle via DRM (encryption). So if you get another Kindle, these files won't work on it. However, if you find your Kindle's PID it is possible to strip the DRM for a "device neutral" backup.